DAX Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	125.2320	1.30
αARCH	0.1848	17.31***
βGARCH	0.9953	300.42***
νDF	2.9272	15.52***

Parameter	Value	t-statistic
ω const Unconditional variance weight	125.2320	1.30
α ARCH Response to squared shocks	0.1848	17.31***
β GARCH Volatility persistence	0.9953	300.42***
ν DF Student-t tail thickness	2.9272	15.52***

V-Lab

NX Filtration N.V. GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other NX Filtration N.V. Analyses